fPortfolio not loading Rsymphony package
Ah! Sorry, I've done a check and apparently Rsymphony was removed from fPortfolio a while back. The current solver used for CVaR is "solveRglpk". Apologies for that!
Jonathan Ling wrote:
I recently upgraded my version of R to 2.10.0 and installed the fPortfolio package. I noticed that once I did that, my codes ran into errors whenever I tried to run CVaR portfolio optimisation. I then noticed that fPortfolio wasn't loading the Rsymphony package... is anyone having the same problem? I've tried loading the package manually but the commands for how fPortfolio runs solveRsymphony through Rsymphony is probably different (i.e. the constraints).
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